Portfelji minimalne varijance pod investicijskim ograničenjima

undergraduate thesis

• Title (english): Minimum-variance Portfolios Under Investment Constraints
• Author: Jakov Viktor Munjiza
• Mentor: Zvonko Kostanjčar (mentor)
• Committee member: Zvonko Kostanjčar (predsjednik povjerenstva)
• Committee member: Bruno Gašperov (član povjerenstva)
• Committee member: Vanessa Keranović (član povjerenstva)
• Granter: University of Zagreb; Faculty of Electrical Engineering and Computing; Zagreb
• Defense date and country: 2020-08-25, Croatia
• Scientific / art field, discipline and subdiscipline: TECHNICAL SCIENCES; Computing
• Scientific / art field, discipline and subdiscipline: TECHNICAL SCIENCES; Electrical Engineering

Abstract

Portfelji minimalne varijance su vrste investicijskih strategija u kojima je primarni cilj osigurati minimalan rizik za investitora. Cilj ovog završnog rada bio je istražiti portfelje minimalne varijance pod različitim investicijskim ograničenjima. Implementacija portfelja je postignuta uz korištenje kovarijantne matrice. Optimizacijski postupak proveli smo bez ograničenja, a zatim pod financijskim ograničenjima: bez dozvoljenog skraćivanja, restrikcija maksimalnog ulaganja od 15% u pojedinu dionicu (dvije verzije) te restrikcija obaveznog minimalnog ulaganja za svaku dionicu.

Abstract (english)

Minimal variance portfolios are a collection of investment strategies the goal of which is to ensure minimal risk for the investor. The aim of this final paper has been to explore minimal variance portfolios under different investment constraints. Portfolio implementation has been achieved using a covariance matrix. First we carried out the optimization procedure without constraints after which we started modeling our portfolios with different financial restrictions: short selling restriction, maximum investment of 15% per share (two versions) restriction and mandatory minimum investment per each share restriction.

• Keywords: portfelj; minimalna varijanca; kovarijantna matrica; financijska ograničenja; model; rizik; povrat; efikasna granica; korelacija; optimizacija; dionice; rebalans; implementacija; python
• Keywords (english): portofoli; minimal variance; covariance matrix; financial restrictions; model; risk; return; efficient frontier; correlation; optimization; stocks; rebalancing; implementation; python
• Language: croatian
• URN:NBN: urn:nbn:hr:168:793663
• Study programme: Title: Computing; Study programme type: university; Study level: undergraduate; Academic / professional title: sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka računarstva (sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka računarstva)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Closed access
• Created on: 2023-01-13 15:41:36